Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0444 |
| Annualized Std Dev | 0.2163 |
| Annualized Sharpe (Rf=0%) | 0.2053 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3275.0000 |
| NAs | 1.0000 |
| Minimum | -0.1144 |
| Quartile 1 | -0.0050 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1494 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0136 |
| Skewness | -0.1863 |
| Kurtosis | 11.9714 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0100 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0098 |
| Downside Deviation (0%) | 0.0098 |
| Maximum Drawdown | 0.5660 |
| Historical VaR (95%) | -0.0212 |
| Historical ES (95%) | -0.0337 |
| Modified VaR (95%) | -0.0196 |
| Modified ES (95%) | -0.0268 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-14 | 2009-03-06 | 2013-09-18 | -0.5660 | 1429 | 303 | 1126 |
| 2020-02-13 | 2020-03-23 | 2020-08-26 | -0.3482 | 136 | 27 | 109 |
| 2018-01-29 | 2018-12-24 | 2019-10-24 | -0.2041 | 426 | 216 | 210 |
| 2015-05-22 | 2016-02-11 | 2017-02-21 | -0.1995 | 419 | 179 | 240 |
| 2014-07-07 | 2014-10-15 | 2015-04-15 | -0.1125 | 194 | 71 | 123 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.5 | -0.5 |
| 2008 | 1.1 | -2.8 | 2.3 | 0.9 | 0.7 | -0.9 | -1.3 | -0.3 | -0.1 | 2.8 | -7.1 | 3.4 | -1.9 |
| 2009 | -3 | -2.1 | 2.6 | 2.2 | 3.1 | 2.1 | 0.9 | -1.9 | -1.1 | -2.8 | 1.9 | 0.2 | 1.9 |
| 2010 | 1.6 | 0.7 | 0.8 | -1.4 | -0.6 | -0.1 | 0.1 | 3.3 | 0.5 | -0.6 | 2.3 | 1 | 7.8 |
| 2011 | 2.3 | -1.5 | 0.3 | 0.6 | -2.2 | 1.6 | -0.3 | 0 | -1.4 | -2.9 | 0.4 | 0.8 | -2.3 |
| 2012 | 1.1 | -0.3 | 0 | 0.2 | -2.4 | 4.6 | 0.1 | 0.7 | 0.6 | 0.4 | 0.1 | 0.1 | 5.2 |
| 2013 | 0.4 | -0.9 | -0.6 | -0.6 | -1.4 | 0.6 | 1.1 | -0.3 | 1 | -0.5 | 0 | 0.4 | -0.7 |
| 2014 | -0.5 | 0.3 | 0.4 | 0.1 | 0.8 | 0.2 | 0.2 | 0.2 | -1.1 | 0.9 | -0.8 | -0.7 | 0 |
| 2015 | -1.1 | -0.3 | -0.3 | 0.5 | -0.4 | 0 | 1.8 | -3.3 | -0.1 | -0.1 | 1 | -0.9 | -3.2 |
| 2016 | 0.8 | 1.8 | -0.6 | -0.8 | -0.1 | 0 | 0.1 | 0.3 | -0.1 | -0.2 | -0.8 | -0.1 | 0.2 |
| 2017 | 0.3 | 1.3 | 0 | -0.1 | 0.4 | 0.1 | 0.4 | 0.1 | 0.4 | 0.1 | -0.4 | -0.6 | 2.2 |
| 2018 | -0.2 | -1.9 | 1 | -0.6 | 0.8 | 0.5 | 0.5 | -0.6 | 0.4 | 0.6 | -0.7 | 0.3 | 0 |
| 2019 | -0.1 | 0.7 | 1.1 | -0.7 | -1.1 | 1.1 | -1.4 | 0.6 | -1.1 | 1.9 | -0.2 | 0.2 | 1.1 |
| 2020 | -1.5 | -1.4 | -4.2 | -2.9 | 1.1 | 0.5 | 0.1 | 0.2 | 0.6 | -0.5 | 1.2 | 0 | -6.7 |
| 2021 | 1.8 | 1.7 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
